Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 2 | 2 | 2 |
| Score | -8 | -5.79 | -8.2 |
| Market Cap (Millions USD) | 1714.58 | 1372.52 | 1408.71 |
| Predicted Beta | 0.36 | 0.35 | 0.35 |
| Idiosyncratic Volatility | 2.43 | 2.66 | 3.28 |
Annualized return and volatility
| ILF | |
|---|---|
| Annualized Return | 0.1016 |
| Annualized Std Dev | 0.3122 |
| Annualized Sharpe (Rf=0%) | 0.3255 |
Row
Daily Return Statistics
| ILF | |
|---|---|
| Observations | 4650.0000 |
| NAs | 464.0000 |
| Minimum | -0.1947 |
| Quartile 1 | -0.0091 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0006 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0105 |
| Maximum | 0.2625 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0004 |
| Stdev | 0.0197 |
| Skewness | 0.1984 |
| Kurtosis | 14.1432 |
Downside Risk
| ILF | |
|---|---|
| Semi Deviation | 0.0141 |
| Gain Deviation | 0.0141 |
| Loss Deviation | 0.0148 |
| Downside Deviation (MAR=210%) | 0.0183 |
| Downside Deviation (Rf=0%) | 0.0138 |
| Downside Deviation (0%) | 0.0138 |
| Maximum Drawdown | 0.6748 |
| Historical VaR (95%) | -0.0295 |
| Historical ES (95%) | -0.0454 |
| Modified VaR (95%) | -0.0250 |
| Modified ES (95%) | -0.0250 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-20 | 2008-11-20 | NA | -0.6748 | 2972 | 133 | NA |
| 2002-04-18 | 2002-09-30 | 2003-12-01 | -0.4199 | 419 | 117 | 302 |
| 2006-05-10 | 2006-06-13 | 2006-11-29 | -0.2984 | 144 | 24 | 120 |
| 2004-04-06 | 2004-05-10 | 2004-09-16 | -0.2276 | 115 | 25 | 90 |
| 2007-07-24 | 2007-08-16 | 2007-09-26 | -0.2225 | 47 | 18 | 29 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ILF | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.5 | 0.0 | 0.0 | 1.5 |
| 2002 | 0.9 | 1.9 | 1.4 | -0.4 | 0.0 | -2.7 | -1.7 | 0.0 | 2.7 | 0.8 | 0.0 | 0.0 | 2.7 |
| 2003 | 0.0 | 0.0 | 1.1 | -0.1 | 0.0 | 1.3 | -1.5 | 0.0 | 2.6 | 0.0 | 3.2 | 0.0 | 6.7 |
| 2004 | 0.0 | 3.3 | 1.8 | 0.0 | -0.4 | 0.4 | 0.0 | -0.1 | 2.4 | 0.8 | 1.6 | 0.0 | 10.2 |
| 2005 | 1.4 | -1.3 | 1.1 | 0.0 | 1.0 | 0.5 | 1.9 | 1.3 | 0.0 | 1.1 | 3.3 | 0.0 | 10.8 |
| 2006 | -0.4 | 2.8 | 0.0 | 0.7 | 3.0 | 0.0 | -1.4 | 2.1 | 0.0 | 0.0 | -1.2 | 0.0 | 5.6 |
| 2007 | 1.0 | -1.1 | 0.0 | 0.1 | 3.2 | 0.0 | -0.9 | 0.0 | 4.0 | -2.7 | 0.0 | 0.0 | 3.5 |
| 2008 | 1.7 | 0.0 | 3.8 | 1.3 | 0.0 | -2.2 | -2.5 | 0.0 | -1.2 | 0.0 | -9.8 | 0.0 | -9.1 |
| 2009 | 0.0 | 0.0 | 3.6 | 3.4 | 4.0 | 1.0 | 0.0 | -2.9 | -2.6 | 0.0 | 2.5 | 0.0 | 9.0 |
| 2010 | 3.6 | 1.0 | 1.8 | 0.0 | -0.5 | 1.1 | 0.0 | 3.5 | 1.0 | 0.9 | 1.9 | 0.0 | 15.2 |
| 2011 | 2.4 | -1.3 | 1.5 | 0.0 | -2.1 | 1.4 | 0.2 | 0.7 | 0.0 | -2.9 | 0.4 | 0.0 | 0.2 |
| 2012 | 2.3 | 1.8 | 0.0 | 0.7 | -2.4 | 0.0 | -0.3 | 0.0 | 0.9 | 1.5 | 0.0 | 0.0 | 4.6 |
| 2013 | 0.8 | 0.1 | -0.9 | -1.5 | 0.0 | 0.3 | 1.7 | 0.0 | 1.5 | -0.4 | 0.0 | 0.0 | 1.7 |
| 2014 | 0.0 | 0.0 | 0.5 | 0.1 | 0.0 | 0.5 | 0.2 | 0.0 | -3.0 | 0.0 | -3.3 | 0.0 | -4.9 |
| 2015 | 0.0 | 0.0 | 3.1 | 0.3 | 0.1 | -1.4 | 0.0 | -3.8 | 0.0 | 0.0 | 1.0 | 0.0 | -0.8 |
| 2016 | 0.1 | 4.2 | 1.0 | 0.0 | 1.2 | 0.8 | -1.7 | 0.4 | 0.0 | -3.0 | -3.7 | 0.0 | -0.9 |
| 2017 | 0.7 | 2.7 | 0.0 | 0.7 | -0.2 | 0.0 | 0.6 | 1.4 | 0.0 | -0.4 | 1.0 | 0.0 | 6.5 |
| 2018 | 0.8 | 0.0 | 0.0 | -1.4 | 0.3 | 0.0 | -1.1 | 0.0 | 0.5 | 3.0 | 0.0 | 0.0 | 2.1 |
| 2019 | -0.3 | -1.1 | 1.7 | -1.7 | 0.0 | 0.5 | -1.5 | 0.0 | -0.9 | 1.9 | 0.0 | 0.1 | -1.4 |
Row
Rolling Performance Chart
Snail Trail Chart
